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Lévy Processes and Stochastic Calculus
monograph
Author(s):
David Applebaum
Publication date
(Online):
2009
Publisher:
Cambridge University Press
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Book
ISBN:
9780511755323
Publication date (Print):
2004
Publication date (Online):
2009
DOI:
10.1017/CBO9780511755323
SO-VID:
e89f4354-597c-48ab-85ef-014401ed2fa3
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Book chapters
pp. ix
Preface
pp. xv
Overview
pp. xxiii
Notation
pp. 1
Lévy processes
pp. 70
Martingales, stopping times and random measures
pp. 120
Markov processes, semigroups and generators
pp. 190
Stochastic integration
pp. 246
Exponential martingales, change of measure and financial applications
pp. 292
Stochastic differential equations
pp. 360
References
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